Narrow search
Showing 1 - 4 of 4
Cover Image
Efficient computation of exposure profiles for counterparty credit risk
Graaf, Cornelis S. L. de; Feng, Qian; Kandhai, Drona; … - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10010391508
Cover Image
Computing credit valuation adjustment for Bermudan options with wrong way risk
Feng, Qian; Oosterlee, Cornelis Willebrordus - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-31
Persistent link: https://www.econbiz.de/10011787454
Cover Image
Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
Feng, Qian; Jain, Shashi; Karlsson, Patrik; Kandhai, Drona - In: The journal of computational finance 20 (2016) 1, pp. 139-172
Persistent link: https://www.econbiz.de/10011639641
Cover Image
CVA for Cliquet options under Heston model
Feng, Yaqin; Wang, Min; Zhang, Yuanqing - In: The North American journal of economics and finance : a … 48 (2019), pp. 272-282
Persistent link: https://www.econbiz.de/10012120248